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Query: faculty: "FEB" and publication year: "2009"

AuthorsP. Heemeijer, C. Hommes, J. Sonnemans, J. Tuinstra
TitlePrice stability and volatility in markets with positive and negative expectations feedback: an experimental investigation
JournalJournal of Economic Dynamics & Control
Volume33
Year2009
Issue5
Pages1052-1072
ISSN01651889
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe evolution of many economic variables is affected by expectations that economic agents have with respect to the future development of these variables. We show, by means of laboratory experiments, that market behavior depends to a large extent on whether realized market prices respond positively or negatively to average price expectations. In the case of negative expectations feedback, as in commodity markets, prices converge quickly to their equilibrium value, confirming the rational expectations hypothesis. In the case of positive expectations feedback, as is typical for speculative asset markets, large fluctuations in realized prices and persistent deviations from the benchmark fundamental price are likely. We estimate individual forecasting rules and investigate how these explain the differences in aggregate market outcomes.

Keywords: Market behavior; Coordination; Expectations feedback; Experimental economics

JEL classification codes: D02; G12; C92
Document typeArticle
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